arXiv research

Geometric Brownian motion simulates stock prices for Brazilian small caps index.

Efficiently calculates Brazilian stock options with discrete dividends.

This paper calculates risk-dependent centrality of Brazilian stocks, showing rankings vary with external risk and crisis events.

New symplectic caps and embeddings found in complex projective plane.

Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recen…

Music genre can be hard to describe: many factors are involved, such as style, music technique, and historical context. Some genres even have overlapping characteristics. Looking for a better understanding of how music genres are related to musical harmonic structures, we gathered data about the music chords for thousa…

Paper classifies Brazilian music genres using song lyrics with BLSTM network.

Study shows survivorship bias inflates returns in India's small-cap index.

It is known that planar disks and small spherical caps are the only constant mean curvature graphs whose boundary is a round circle. Usually, the proof invokes the Maximum Principle for elliptic equations. This paper presents a new proof of this result motivated by an article due to Reilly. Our proof utilizes a flux fo…

We find that when measured in terms of dollar-turnover, and once $β$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the "Cold-Minus-Hot" (CMH) anomaly is certainly not less significant than other well-known factors such as Value or Quality. As compared to marke…

We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the S\&P 500 and CAC 40, but not to the Shanghai SSE 180, indicating an intricate i…

This study improves mid-cap equity performance with a data-driven, market-neutral approach.

Study examines Indian equity mutual funds' investment style and risk-shifting.

Deep learning outperforms Black-Scholes in Brazilian Petrobras option pricing.

The MAXFLAT low-pass filter improves factor adjustment for better portfolio performance in China's stock market.

We developed a strategic of optimal portfolio based on information theory and Tsallis statistics. The growth rate of a stock market is defined by using $q$-deformed functions and we find that the wealth after n days with the optimal portfolio is given by a $q$-exponential function. In this context, the asymptotic optim…

Study detects fake news in Brazilian Portuguese using machine learning.

We investigate the Brazilian personal income distribution using data from National Household Sample Survey (PNAD), an annual research available by the Brazilian Institute of Geography and Statistics (IBGE). It provides general characteristics of the country's population. Using PNAD data background we also confirm the e…

New surfaces near a sphere violate Minkowski inequality.

In this paper we present a statistical analysis about the characteristics that we intend to influence in the performance of the neural networks in terms of assertiveness in the prediction of Brazilian stock returns. We created a population of architectures for analysis and extracted the sample that had the best asserti…

This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study show evidence of the exist…

Lecture notes for a minicourse to given in the XVII Brazilian School of Geometry, UFAM (Amazonas), Brazil, July 2012.

AlphaX uses AI to outperform Brazilian stock market benchmarks.

We give the complete Bott-Chern-Aeppli cohomology for compact complex 3-folds in terms of Dolbeault, Frolicher, a bi-degree DeRham-like type of cohomology, $K^{p,q}$, defined as $$ K^{p,q}=\frac{ker( \partial ) \cap ker( {\bar{\partial}}) }{im( \partial )\cap ker( {\bar{\partial}} )+im( {\bar{\partial}})\cap ker( \part…

We analyze expenditure patterns of discretionary funds by Brazilian congress members. This analysis is based on a large dataset containing over $7$ million expenses made publicly available by the Brazilian government. This dataset has, up to now, remained widely untouched by machine learning methods. Our main contribut…

This paper surveys the evolution of industrial concentration of the Brazilian automotive market as well as its positioning in the worldmarket. Data available by OICA (International Organization of Motor Vehicle Manufacturers) were used to better understand the characteristics of the Brazilian market on the world stage.…

Let $g_0$ be a smooth pinched negatively curved Riemannian metric on a complete surface $N$, and let $Λ_0$ be a basic hyperbolic set of the geodesic flow of $g_0$ with Hausdorff dimension strictly smaller than two. Given a small smooth perturbation $g$ of $g_0$ and a smooth real-valued function $f$ on the unit tangent …

Lecture notes for the minicourse "Holonomy Groups in Riemannian geometry", a part of the XVII Brazilian School of Geometry, to be held at UFAM (Amazonas, Brazil), in July of 2012.

Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.

The paper uses LSMC to price capped American options with time-dependent caps.

These are the very unpretentious lecture notes for the minicourse "Introduction to evolution equations in Geometry," a part of the Brazilian Colloquium of Mathematics held at IMPA, in July of 2009.

We study a novel economic network (supply chain) comprised of wire transfers (electronic payment transactions) among the universe of firms in Brazil (6.2 million firms). We construct a directed and weighted network in which vertices represent cities and edges connote pairwise economic dependence between cities. Cities …

This book was intended to serve as supporting material for a mini-course on web geometry delivered at the 27th Brazilian Mathematical Colloquium which took place at IMPA in the last week of July 2009.

It is classically known that generic smooth maps of R^2 into R^3 admit only cross cap singularities. This suggests that the class of cross caps might be an important object in differential geometry. We show that the standard cross cap (u,uv,v^2) has non-trivial isometric deformations with infinite dimensional freedom. …

Study symmetry of cross-cap surfaces with folding maps.

We investigate the notion of symplectic divisorial compactification for symplectic 4-manifolds with either convex or concave type boundary. This is motivated by the notion of compactifying divisors for open algebraic surfaces. We give a sufficient and necessary criterion, which is simple and also works in higher dimens…

In this article, we investigate the features which enhanced discriminate the survival in the micro and small business (MSE) using the approach of data mining with feature selection. According to the complexity of the data set, we proposed a comparison of three data imputation methods such as mean imputation (MI), k-nea…

Paper classifies symmetries of cross caps using invariants.

These are lecture notes on scale calculus and M-polyfolds written for a graduate course at UNICAMP March-June 2018 and an advanced mini-course given during the biannual meeting of Brazilian mathematicians, CBM-32, at IMPA in August 2019.

This paper discusses the empirical validity of Goodwin's (1967) macroeconomic model of growth with cycles by assuming that the individual income distribution of the Brazilian society is described by the Gompertz-Pareto distribution (GPD). This is formed by the combination of the Gompertz curve, representing the overwhe…

This paper proves geodesic curvature measures are bounded for curves near cross cap singularities.

Study reveals how investor flows impact stock prices, especially during herding episodes.

Two cross caps in Euclidean $3$-space are said to be formally isometric if their Taylor expansions of the first fundamental forms coincide by taking a suitable local coordinate system. For a given $C^\infty$ cross cap $f$, we give a method to find all cross caps which are formally isometric to $f$. As an application, w…

In this paper, we explore and detail our experiments in a high-dimensionality, multi-class image classification problem often found in the automatic recognition of Sign Languages. Here, our efforts are directed towards comparing the characteristics, advantages and drawbacks of creating and training Support Vector Machi…

Let $N$ be a hyperbolic 3-manifold and $B$ a component of the interior of $AH(π_1(N))$, the space of marked hyperbolic 3-manifolds homotopy equivalent to $N$. We will give topological conditions on $N$ sufficient to give $ρ\in \bar{B}$ such that for every small neighborhood $V$ of $ρ$, $V \cap B$ is disconnected. This …

Optimal income crossover found using particle swarm optimization.

We give a variational proof of the existence and uniqueness of a convex cap with the given upper boundary. The proof uses the concavity of the total scalar curvature functional on the space of generalized convex caps. As a byproduct, we prove that generalized convex caps with the fixed boundary are globally rigid, that…

3D spherical caps are rigid under certain perturbations.